I'm a 27 year old woman and have lived about 5 mins walk from Nunhead station for the last 3 years. Luckily (and *touch wood*) I haven't had any problems whilst living here and haven't noticed any cyclists doing this sort of thing. I agree that the area immediately around the station is not particularly appealing, but I have caught the train from there pretty much every day, regularly coming back at 11ish (or later) by myself and have never felt any less comfortable than I do walking around ED or anywhere else in the area. I think the others are right that you have to go with your instincts - you are the one who'll be anxious about getting home late etc. if you are not completely comfortable with the area, so only you can make a judgement if it's an area you'd be happy with. I'd suggest that you get a train to Nunhead late at night and walk to where your new house might be, or the roads you are keen on, so you get a true feel for what it's like at night (although obviously tell a friend what you are doing!). Like v_the_gelfling, very happy for you to PM me if you have any other queries
